Plotting in gnuplot

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http://unix.stackexchange.com – I have a set of data in a text file (X,Y coordinates which are not sorted). I want to plot it using gnuplot and connect plotted points using lines. I tried: plot "a.txt" with lines but it is connecting the first point to the second point and so on. I want it to just connect plotted points, not first to second, and so on. (HowTos)